我国ST股票超额收益的实证研究

Empirical Study on Abnormal Returns of Special Treatment Stocks

ST股票的收益研究是投资者必须面对的一个现实问题。本文选取1998年4月至2007年12月间被实施特别处理的股票样本,对其股价表现进行了实证研究。文章研究发现,尽管总体上ST股票总体上能获得超额收益,但是不同子样本之间差别很大;分析发现资产重组是ST股票超额收益的最大动力,而ST公司的持续时间和上市地点也相当显著地影响公司的超额收益,此外,ST公司中存在显著的市值效应,但不存在显著的市净率乘数效应,而公司的财务基本面、股权集中度和股权流通比例均不能有效地对ST公司超额收益的截面差异做出有效解释。

The presence of Special Treatment companies on China A stock market makes an important part of investment choices This paper collected a sample of listed companies that were specially treated during April 1998 to December 2007 to examine historical return of ST stocks. The result shows that ST firms gained significant cumulative abnormal returns comparing to the market, but with significant differences between sub-samples. The regression results show that reconstruction activity is a main driver of CAR, and the duration of ST and place of listing are have significant impacts on the CAR. The Market Value Effect has significant explanatory power but the PB Multiplier Effect does not. Meanwhile, other factors, including the financial indicators, flee float rate, and degree of share concentration, fail to effectively explain the cross-sectional CAR difference.